Societe Generale - Evening Coffee

On the first day after the annual index rebalancing, New York coffee eased slowly lower over
the first eight-plus hours pressured by weakness in the Brazilian real. London futures fell to a
new life-of-contract low only to bounce back to close near the day's highs and up a few dollars
on the day. New York traded within yesterday's range, bounced back from the day's lows in the
last hour ahead of the three-day holiday weekend in the U.S.
March New York (KCEH6) settled in its upper half (63%), down one cent today, 4.10¢ lower
this week. Volume was 16% below average at an estimated 24,186 lots including an estimated
640 EFP's, 79 EFS's, 405 TAS and 8,009 spreads. 2,832 calls and 2,277 puts also traded. The
KCEH6-LRCH6 arbitrage: 48.51¢. Ratio: 1.7422. €: $1.0915+½%. BRL: 4.0440/$-1.1%. CRB: -
2.0%. Crude oil: -5.4%. Open interest: 196,648+3,630 (50-day stochastic: 87%; 125-day: 87%).
March London (LRCH6) settled in its upper third (69%), up three dollars on the day, down
forty-four dollars for the week. Volume was fifteen percent below average at an estimated
13,849 lots including 5,419 spreads and 427 EFP's. 1,155 calls and 1,150 puts also traded.
Open interest: 130,565+1,390 (50-day stochastic: 100%; 125-day: 71%). 35 retenders were
posted.
The Green Coffee Association estimates that U.S. coffee warehouse stocks rose 44,217
bags in December to 5,836,213 bags. This is 5.6% higher then the 5,524,964 bags in store one
year earlier. Over the 1989 to 2014 period stocks rose by an  average of 15,140 bags in
December.
CFTC reports that large speculators were net sellers of 14,316 lots of Coffee “C” in the
week ending January 12th increasing their net short position to 27,681 lots (15,203 new
shorts). Large hedgers cut their net short position to 3,920 lots after buying 12,398 lots (13,133
lots of new buying).  Index traders bought 1,463 lots and were long 28,431. Small traders
bought 445 lots, long 3,170.
The New York coffee market, and this office, will be closed on Monday for Martin Luther
King Day. The London market and office will be open as usual. By John Bernardi